منابع مشابه
Tail Risk and Equity Risk Premia
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We analyze the cross-sectional differences in the tail risk of equity returns and identify the drivers of tail risk. We provide two statistical procedures to test the hypothesis of cross-sectional downside tail shape homogeneity. An empirical study of 230 US non-financial firms shows that between 2008 and 2011 the cross-sectional tail shape is homogeneous across equity returns. The heterogeneit...
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a r t i c l e i n f o The concept of asymmetric risk estimation has become more widely applied in risk management in recent years with the increased use of Value-at-risk (VaR) methodologies. This paper uses the n-degree lower partial moment (LPM) models, of which VaR is a special case, to empirically analyse the effect of downside risk reduction on UK portfolio diversification and returns. Data...
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Beta as a measure of risk has been under fire for many years. Although practitioners still widely use the CAPM to estimate the cost of equity of companies, they are aware of its problems and are looking for alternatives. A possible alternative is to estimate the cost of equity based on the semideviation. a well-known and intuitively plausible measure of downside risk. Complementing evidence rep...
متن کاملMeasures of downside risk
The paper characterizes a family of downside risk measures. They depend on a target value and a parameter reflecting the attitude towards downside risk. The indicators are probability weighted −order means of possible shortfalls. They form a subclass of the measures intro¬duced by Stone (1973) and are related to the measures proposed by Fishburn (1977). The axiomatization is based on some prope...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2240135